Portfolio Of Scenarios Research Articles

Optimal Portfolios for Large Investors in Housing Markets Under Stress Scenarios: A Worst-Case Approach

AbstractThe study focuses on constructing a mathematical housing market threatened by a major catastrophic event or crash. It incorporates the worst-case scenario portfolio optimization problem as introduced in Korn and Wilmott (Int J Theor Appl Finance 5(02):171–187, 2002) into housing markets. The standard stochastic models for housing markets assume a geometric Brownian motion and neglect sudden housing price falls during crash times. However, the size, timing, and frequency of crashes have to be included in such models. By incorporating the worst-case portfolio optimization problem into housing markets, this study introduces a methodology to construct portfolios for large investors that are robust and resilient to extreme housing market conditions. The worst-case portfolio optimization approach can be used in housing markets to incorporate stress scenarios, minimize potential losses, utilize mathematical techniques, and manage housing investment risk effectively. This study provides valuable insights for large investors seeking to construct housing portfolios prioritizing downside protection and minimizing losses in extreme housing market conditions. Utilizing numerical illustrations, it provides insights into portfolio construction, demonstrating the effectiveness of adjusting portfolios to mitigate downside risks during housing market crises. The results highlight dynamic portfolio management’s significance in safeguarding wealth when housing prices undergo significant fluctuations.

Developing a junior-led near-peer simulated patient teaching programme in a minimal resource environment

High-fidelity simulation-based scenarios develop the knowledge and practical skills of medical students by recreating a more accurate reflection of managing difficult cases in high pressure environments. In circumstances with limited resources, ingenuity must be employed to recreate immersive environments. One creative method of achieving this is utilising ‘near peer tutors’ (NPTs), defined as ‘a trainee one or more years senior to another trainee’ [1]. NPTs can be employed as facilitators and simulated patients [2]. We aimed to design, implement and qualitatively evaluate a minimal resource simulation teaching programme for medical students that utilises NPTs, at a rural District General Hospital. A lesson plan was designed for the teaching sessions. This included a pre-session examination; a pre-session presentation; simulation cases followed by a ‘STOP5 Hot’ debriefing [3]; a post-session examination and participant feedback collection. 17 NPTs were recruited from Foundation Year (FY) 1 and 2 Doctors, with two or more allocated to facilitate each session. Roles divided amongst the NPTs included acting as a patient, acting as a nurse, leading the scenario. The ‘STOP5 Hot’ debrief was then facilitated by the lead NPT. Three lead clinicians were responsible for administration: a FY2 Doctor provided session resources; an Internal Medicine Trainee supervised each session; a FY1 Doctor communicated with NPTs and students. Qualitative feedback was collected from students at the end of each session in the form of a questionnaire. A total of 9 sessions were run from 7/1/22 – 31/3/22 attended by 22 medical students. The sessions were positively received by both students and teachers who described the sessions as ‘well organised’; an ‘open/accessible/safe learning environment’ and included ‘realistic scenarios’. Students described benefiting from ‘clear, useful feedback’; ‘observing the life-cycle of management within a scenario’ and the use of NPTs memory aids (including mnemonic devices). NPTs reported that the teaching ‘reinforced their skills in emergency assessments’, ‘time management of sessions was efficient’, and that the scenarios provided had ‘appropriate level of background information’. Suggested improvements included ‘greater variety/complexity of cases’, ‘scenario specific tick-lists to review management steps’, and ‘expanding the use of technology’. A junior-led near-peer simulated patient teaching programme was well received by both students and near-peer tutors. Further research could evaluate the improvement in knowledge of students following the sessions and the effectiveness of providing teaching opportunities to junior doctors. Future aspirations include expanding the portfolio of scenarios by collecting cases from junior doctors’ reflections. 1. Aba Alkhail B. Near-peer-assisted learning (NPAL) in undergraduate medical students and their perception of having medical interns as their near peer teacher. Medical Teacher. 2015;37(sup1):S33-S39. 2. Williams B, Song J. Are simulated patients effective in facilitating development of clinical competence for healthcare students? A scoping review. Advances in Simulation. 2016;1(1). 3. Walker C, McGregor L, Taylor C, Robinson S. STOP5: a hot debriefing model for resuscitation cases in the emergency department. Clinical and Experimental Emergency Medicine. 2020;7(4):259–266.

Wargaming for the Purpose of Knowledge Development: Lessons Learned from Studying Allied Courses Of Action

We present a series of four wargames intended to improve our ability to analyze the alliance aspect of Norwegian military operations. We discuss the objectives, the set-up, and the lessons learned. The wargames proved to be very helpful in discovering gaps in our knowledge concerning specific types of military operations and systems, and pointed at shortcomings of our scenario portfolio. They also highlighted more general methodological aspects such as the importance of explicitly stating basic premises. We argue that wargames are a useful tool for assessing one’s own knowledge, challenging current opinions, and improving one’s analytic methods.

OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK

We consider the worst-case scenario portfolio approach, introduced by Korn & Wilmott (2002), in a multi-asset setting, where asset defaults can occur in addition to asset crashes. In our model, the strictly risk-averse investor does not know which asset is affected by the worst-case scenario. Based on a reformulation of the value function we define the set of minimum constant portfolio processes. We prove the existence of such a process that solves the worst-case crash/ default portfolio problem. In particular, we prove the existence of a portfolio process that is optimal for the investor and at the same time makes him/ her indifferent to the time of occurrence of the worst possible crash or default scenario. The optimal portfolios are derived from solutions of non-linear differential equations. Therefore, we construct an algorithmic framework to analyze selected examples. These examples show the importance of adapting the portfolio process when considering such worst-case scenarios in the investment problem.

Одесская киностудия и «Ленфильм»: редакторские практики (1960–1980-е гг.)

The purpose of this article is to update the experience of editorial practices conducted at two Soviet film studios during their heyday (1960-1980s). With the difference in the scale of film production of the Odessa Film Studio and Lenfilm, there are obvious analogies in their creative and organizational policies of the specified period. One of the key factors contributing to the creation of outstanding films is the initiative-taking work of the editorial staff. The parallels of the editorial work of film studios were manifested in such aspects as the preparation of a production plan („scenario portfolio “), the process of creating a film (from the consideration of a scenario application to the „delivery “of a finished film). Along with the achievements, there were conflicts that also became part of the history of film editing. A special topic is the role of editing and censorship in the work of prominent representatives of the „author’s cinema “. The artistic heritage of both film studios already in the post-Soviet period is museumified and reflected in the exhibition spaces, with the active participation of film editors: D. Ivaneev, S. Kolomoets at Lenfilm and V. Kostromenko, G. Lazareva, E. Martsenyuk at the Odessa Film Studio).

Regional Energy Transition: An Analytical Approach Applied to the Slovakian Coal Region

This study presents an analytical framework supporting coal regions in a strategy toward the clean energy transition. The proposed approach uses a combination of value chain analysis and energy sector analysis that enables a comprehensive assessment considering local specificities. Its application to a case study of the Slovakian region Upper Nitra demonstrates practical examples of opportunities and challenges. The value chain analysis evaluates the coal mining industry, from coal extraction to electricity generation, in terms of jobs and business that are at risk by the closure of the coal mines. The complementary energy system analysis focuses on diversification of the energy mix, environmental impacts, and feasibility assessment of alternative energy technologies to the coal combusting sources. The results show a net positive cost benefit for all developed scenarios of replacing the local existing coal power plant. Although the installation of a new geothermal plant is estimated to be the most expensive option from our portfolio of scenarios, it presents the highest CO2 reduction in the electricity generation in Slovakia—34% less compare to the system employing the existing power plant. In addition, the development of a new industrial polo around deep geothermal technology can boost the economic activity in the region by attracting investments in companies providing geological exploration services, transferring the local knowledge from the coal mining industry into an emerging sector.

Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash

Korn and Wilmott [9] introduced the worst-case scenario portfolio problem. Although Korn and Wilmott assume that the probability of a crash occurring is unknown, this paper analyzes how the worst-case scenario portfolio problem is affected if the probability of a crash occurring is known. The result is that the additional information of the known probability is not used in the worst-case scenario. This leads to a \(q\)-quantile approach (instead of a worst case), which is a value at risk-style approach in the optimal portfolio problem with respect to the potential crash. Finally, it will be shown that—under suitable conditions—every stochastic portfolio strategy has at least one superior deterministic portfolio strategy within this approach.

Costs and Benefits of Crash Hedging

The worst-case scenario portfolio problem which has been introduced by Korn and Wilmott (2002) will be considered in this paper. In the setting of Korn and Wilmott, approximations for the optimal crash hedging strategy will be derived. Furthermore, the costs and benefits of using the optimal crash hedging strategy instead of the classical optimal portfolio strategy of Merton will be calculated using both a utility based approach and an efficiency approach. Additionally, we derive the break even crash size, that is the crash size where the investor is indifferent towards a crash of the break even size by using either the optimal crash hedging strategy or the classical optimal portfolio strategy of Merton. Finally, we will compute the sensitivities with respect to the worst case crash size of both the optimal crash hedging strategy and the corresponding value function.

OPTIMALISASI PORTOFOLIO INVESTASI DANA PENSIUN UNIVERSITAS MUHAMMADIYAH MALANG

Novita Ratna SatitiProgram Studi Manajemen FEB UMME-mail: novitasuprihadi@gmail.comABSTRACTThe research aimed to optimalize investment scenario for Pension Fund of UMM. Pension Fund ofUMM optimized investment activity yet, due to the nature was still very conservative. The first phaseresearch was to evaluate the performance of investments by analyzing the value of ROI, look at thepattern of risk of each investment instrument (Standard Deviation), and calculate the average risk forfinancial assets which was invested with the VaR. The second was to develop a simulation of investmentscenario, which previously had projected prior average annual returns for various types of investments.After developing, the evaluation of simulation scenarios by analyzing the ROI and calculatedthe average risk (VaR). The results based on optimalizing investment scenarios III, by leveraging newinvestment opportunities to maximize the full potential of investments that might be made . On the thirdscenario, the ROI achieved at the value of 9.7% VaR of 0.3% in the level confidence of 99%. It means,there would be 1% chance of loss that more than 0.3%. At these scenarios, there was a change increasesthe yield of 5.4%, and was followed by increased average risk of -0.25%. On the third scenarioformation, it was expected that pension fund get scientific considerations in determining the investmentportfolio for the coming period.Keywords: Pension Funds, Investment Optimization, Scenario Portfolio Investment, Return on Investment(ROI), Value at Risk (VaR)

Impact of vehicle propulsion electrification on Well-to-Wheel CO2 emissions of a medium duty truck

Well-to-Wheel (WtW) CO2 emissions of different powertrain topologies employed to power a medium duty truck are analyzed in this paper. The analysis covers topologies of the parallel and the series plug-in hybrid electric vehicles (PHEVs), which are driven according to different strategies of depletion of the electric storage devices (ESs). These results are benchmarked against results of conventional internal combustion engine vehicles (ICEVs). The Tank-to-Wheel (TtW) data are obtained by a forward facing vehicle simulation model, whereas Well-to-Tank (WtT) analysis covers CO2 intensity of the Diesel fuel and four different realistic CO2 intensities of electric energy production. To ensure comprehensiveness of the study vehicles were also operated according to two drive cycles that feature significantly different velocity profiles. In addition, influences of different control strategies of powertrain components were also analyzed. This broad portfolio of scenarios reveals insightful WtW CO2 emissions guidelines for introducing plug-in hybrid electric trucks to different regions. The results indicate that the propulsion electrification in medium duty trucks has, in comparison to passenger cars, a smaller potential for reduction of Well-to-Wheel CO2 emissions because of the higher efficiencies of the internal combustion engine in such trucks. Results of this study were also used to identify the threshold value of the CO2 intensity of electric energy production that favors the operational switch from Charge Depleting (CD) to Charge Sustaining (CS) mode. Additionally, it was shown that for longer recharge intervals, operation in the blended mode with less intensive depletion rate of the ES can feature lower WtW CO2 emissions of the PHEVs.

Foresight Scenario Analysis of Motor System of Electric Vehicle

In order to describe the trend of motor system development of electric vehicle and to figure out the factors that would affect the external drives and the internal resources, the thesis uses scenario analysis method to be the basic framework, adding modified Delphi method to clarify time transition into five categories: changeless, changeable, disappeared, uncertain states and newborn. More precisely, the five factors is used to construct “Scenario Analysis of Markov Modified Delphi Method”. The thesis focuses on motor system to do the Foresight analysis, using the transition concept of Markov Chain to clarify the key factors of uncertain states into motor system: brushless DC (BLDC) motor, surface permanent magnet synchronous motor and Switched Reluctance In-Wheel Motor. Moreover, the changeless concept of Markov Chain is used to be background, adding the key factors of changeable and uncertain states to clarify seven kinds of scenario portfolio: basic scenario, scenario assumption I, scenario assumption II, future scenario, breakthrough scenario I, breakthrough scenario II and challenge scenario. It could make the government, industries and related departments realize the development trend of key components about electric vehicle by the scenario descriptions. It can increase their willingness to invest in the related researches to achieve future image, also shape the usable engineering technique and integrated system concepts of electric vehicles in 2020 for public.

Worst-case scenario investment for insurers

We consider the investment problem of an insurance company who is facing a risk process from its own business and can additionally invest money into a stock index. This index is threatened by a possible market crash but otherwise is assumed to follow a geometric Brownian motion. Building up on work by Browne [Browne, S., 1995. Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin. Math. Operations Res. 29, 937–957] and Korn and Wilmott [Korn, R., Wilmott, P., 2002. Optimal portfolios under the threat of a crash. Int. J. Theor. Appl. Finance 5, 171–187] or Korn and Menkens [Korn, R., Menkens, O., 2002. Worst-case scenario portfolio optimization: a new stochastic control approach. Working paper] for optimal worst-case investment in a pure stock and bond market we determine equilibrium strategies for an insurer maximizing exponential utility. These strategies are not constant ones – as in the crash-free setting of Browne (1995) – and are optimal in a worst-case maximizing sense.